Works (6)
Updated: November 25th, 2024 05:03
2022 article
Inference for Nonparametric High-Frequency Estimators with an Application to Time Variation in Betas
Kalnina, I. (2022, March 29). JOURNAL OF BUSINESS & ECONOMIC STATISTICS, Vol. 41.
author keywords: Market microstructure noise; Realized volatility; Subsampling
TL;DR:
The subsampling method is used to study the dynamics of financial betas of six stocks on the NYSE, and it is found that tick data captures more variation in betas than the data sampled at moderate frequencies such as every five or twenty minutes.
(via Semantic Scholar)
open access via www.cireqmontreal.com (repository)
UN Sustainable Development Goal Categories
8. Decent Work and Economic Growth
(Web of Science)
Sources: Web Of Science, ORCID, NC State University Libraries
Added: April 18, 2022
2020 journal article
High-frequency factor models and regressions
Journal of Econometrics, 216(1), 86–105.
Contributors: Y. Aït-Sahalia*, n & D. Xiu *
Source: ORCID
Added: November 23, 2024
2019 article
Source: ORCID
Added: November 23, 2024
2016 journal article
Nonparametric Estimation of the Leverage Effect: A Trade-Off Between Robustness and Efficiency
Journal of the American Statistical Association, 112(517), 384–396.
author keywords: Derivatives; High-frequency data; Implied volatility; Spot correlation; VIX
Sources: Crossref, ORCID, NC State University Libraries
Added: August 28, 2020
2010 journal article
Subsampling high frequency data
Journal of Econometrics, 161(2), 262–283.
author keywords: Subsampling; Market microstructure noise; High frequency data; Realised volatility
Sources: Crossref, ORCID, NC State University Libraries
Added: October 25, 2020
2008 journal article
Estimating quadratic variation consistently in the presence of endogenous and diurnal measurement error
Journal of Econometrics, 147(1), 47–59.
author keywords: Endogenous noise; Market microstucture; Realised volatility; Semimartingale
Sources: Crossref, ORCID, NC State University Libraries
Added: August 28, 2020
Employment
Updated: June 11th, 2023 16:30
2017 - present
North Carolina State University Raleigh, North Carolina, US
Assistant Professor
Economics
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